Publication Date: July 1986
Revision Date: September 1987
This paper proposes some new tests for detecting the presence of a unit root in quite general time series models. Our approach is nonparametric with respect to nuisance parameters and thereby allows for a very wide class of weakly dependent and possibly heterogeneously distributed data. The tests accommodate models with a ﬁtted drift and a time trend so that they may be used to discriminate between unit root nonstationarity and stationarity about a deterministic trend. The limiting distributions of the statistics are obtained under both the unit root null and a sequence of local alternatives. The latter noncentral distribution theory yields local asymptotic power functions for the tests and facilitates comparisons with alternative procedures due to Dickey and Fuller. Some simulations are reported which provide evidence on the performance of the new tests in ﬁnite samples.
Brownian motion, Noncentral distributions, Weak convergence, Nonparametric tests
JEL Classification Codes: 211
See CFP: 706